Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0445 |
| Annualized Std Dev | 0.2590 |
| Annualized Sharpe (Rf=0%) | 0.1717 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3714.0000 |
| NAs | 1.0000 |
| Minimum | -0.1480 |
| Quartile 1 | -0.0067 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1022 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0163 |
| Skewness | -0.3242 |
| Kurtosis | 9.7140 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0129 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.6810 |
| Historical VaR (95%) | -0.0232 |
| Historical ES (95%) | -0.0395 |
| Modified VaR (95%) | -0.0248 |
| Modified ES (95%) | -0.0446 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-05-21 | -0.6810 | 1502 | 444 | 1058 |
| 2018-08-22 | 2020-03-23 | 2021-03-08 | -0.4809 | 639 | 398 | 241 |
| 2015-04-16 | 2016-01-20 | 2016-07-08 | -0.2112 | 311 | 193 | 118 |
| 2014-07-02 | 2014-10-10 | 2014-11-12 | -0.1014 | 94 | 71 | 23 |
| 2018-01-23 | 2018-02-08 | 2018-06-05 | -0.0967 | 93 | 13 | 80 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 2.1 | -0.8 | -0.1 | -1 | -1.5 | -0.4 | -1 | -2.7 |
| 2007 | 0.8 | 0 | -0.1 | 0.4 | 0.9 | -0.9 | 1.1 | 0.9 | 2.6 | -4.1 | 0.3 | -0.2 | 1.6 |
| 2008 | 2 | -2.6 | 3.4 | 2.2 | -0.5 | 0.3 | 0.8 | -1.1 | -1.8 | 4.3 | -14.8 | 3.5 | -5.6 |
| 2009 | -3.8 | -1.9 | 2.3 | -0.6 | 4.2 | 1.9 | 0.5 | -2.6 | -3.3 | -3.1 | 1.3 | -0.9 | -6 |
| 2010 | 0.5 | 1.1 | 0.5 | -3 | -2.7 | -0.2 | -0.2 | 3.1 | 0.5 | -0.4 | 1.8 | -0.5 | 0.3 |
| 2011 | 1.9 | -1.7 | 0.3 | -0.1 | -2.6 | 1.3 | -0.2 | -2.5 | -0.5 | -3.9 | -1.2 | -0.8 | -9.8 |
| 2012 | 2 | 0.2 | -0.2 | 0 | -2.2 | 2.2 | -1.1 | 0.4 | 0.1 | 0.8 | 0.1 | 1.9 | 4.2 |
| 2013 | 0.9 | 0 | -1 | -2.5 | -1 | 1.4 | 1.1 | -1.7 | 0.8 | -0.3 | 0.2 | 0 | -2.1 |
| 2014 | -0.6 | 0.4 | 1.1 | -0.2 | -0.1 | 1 | -0.2 | 0.5 | -0.9 | 1.3 | -1 | -0.9 | 0.3 |
| 2015 | -2.1 | -0.4 | -0.1 | 0.6 | 0.3 | 0.4 | 0.4 | -2.7 | -0.2 | -0.3 | 0.5 | -1.2 | -4.8 |
| 2016 | -0.5 | 1.6 | 0 | -0.3 | 0.5 | 0.4 | -0.2 | 0 | 0.6 | -1.8 | -0.3 | -0.2 | -0.2 |
| 2017 | -0.6 | 1.3 | 0.4 | 0.2 | 1.8 | -0.2 | 0.2 | 0.8 | -0.2 | -0.4 | -0.6 | -0.5 | 2.2 |
| 2018 | -0.6 | 0 | 0.6 | 0.1 | 0.3 | -0.3 | -0.6 | 0.3 | -1.2 | 1.5 | 0.5 | 0.4 | 1 |
| 2019 | -0.2 | 0.4 | 1.5 | -1.1 | -1.4 | -0.1 | -1.9 | 0.1 | -1.9 | 1.3 | -0.6 | 0.3 | -3.8 |
| 2020 | -2.4 | -1.9 | -6.4 | -3.9 | 0.7 | -1.8 | -0.6 | 0.5 | 0.9 | -0.7 | 1.1 | 0.5 | -13.3 |
| 2021 | 1.6 | 2.9 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
